Volatility spillovers among oil and stock markets in the US and Saudi Arabia
In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times w...
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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2019
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| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/5864 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6863/viewcontent/Volatility_spillovers_among_oil_and_stock_markets_in_the_US_and_Saudi_Arabia.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |